The Effects of Stock Lending on Security Prices: An Experiment

Steven Kaplan (), Tobias J. Moskowitz and Berk A. Sensoy

No 16335, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Working with a sizeable, anonymous money manager, we randomly make available for lending two-thirds of the high-loan fee stocks in the manager's portfolio and withhold the other third to produce an exogenous shock to loan supply. We implement the lending experiment in two independent phases: the first, from September 5 to 18, 2008, with over $580 million of securities lent; and the second, from June 5 to September 30, 2009, with over $250 million of securities lent. The supply shocks are sizeable and significantly reduce lending fees, but returns, volatility, skewness, and bid-ask spreads remain unaffected. Results are consistent across both phases of the experiment and indicate no adverse effects from securities lending on stock prices.

JEL-codes: G12 G14 G18 G23 (search for similar items in EconPapers)
Date: 2010-09
Note: AP CF
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Published as “The Effects of Stock Lending on Security Prices: An Experiment” with Tobias Moskowitz and Berk Sensoy, Journal of Finance, September 2013

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Related works:
Journal Article: The Effects of Stock Lending on Security Prices: An Experiment (2013)
Working Paper: The Effects of Stock Lending on Security Prices: An Experiment (2009)
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